Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0272
Annualized Std Dev 0.2687
Annualized Sharpe (Rf=0%) -0.1013

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.2889
Quartile 1 -0.0059
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0067
Maximum 0.2187
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0005
Variance 0.0003
Stdev 0.0169
Skewness -1.2841
Kurtosis 36.1737

Downside Risk

Close
Semi Deviation 0.0126
Gain Deviation 0.0125
Loss Deviation 0.0151
Downside Deviation (MAR=210%) 0.0169
Downside Deviation (Rf=0%) 0.0126
Downside Deviation (0%) 0.0126
Maximum Drawdown 0.8199
Historical VaR (95%) -0.0217
Historical ES (95%) -0.0406
Modified VaR (95%) -0.0211
Modified ES (95%) -0.0211
From Trough To Depth Length To Trough Recovery
1999-01-05 2008-11-21 NA -0.8199 5589 2488 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.7 0.4 0 0.8 0 0 -0.4 1.4 0 0 -1.7 4.3 4
2000 -1.6 0.6 0.6 1.1 0.5 -1.1 1 -0.5 1 -1 1.6 1.6 3.9
2001 -0.9 0.7 0 1.5 -0.7 0.4 -0.4 1.4 0.8 2 -1 -0.4 3.3
2002 0.1 1.5 -0.5 0.3 1.7 -1.4 0.2 3 1.2 -0.9 -1.7 0.7 4.3
2003 1.2 -0.4 1.5 -0.2 1.2 -0.4 -0.6 -0.3 1.9 -1.2 -0.8 0.2 2.2
2004 1.9 1 -0.3 0.3 -0.9 -0.3 0.5 0 -0.6 0.3 1.3 1.5 4.6
2005 -0.8 0.1 0.6 1.5 1.5 -0.1 0.4 -1.1 1.7 -1.6 -0.4 1.3 3.1
2006 0 0.2 -0.9 0.8 0 -0.2 0.7 -1 -0.8 0.1 -1.9 -0.2 -3
2007 -0.6 -0.2 1.5 0.2 0.6 -0.1 -2.5 0.1 0.9 -0.6 1.4 -0.6 0.1
2008 4.4 -0.2 2.2 0.6 0.9 -0.4 -0.6 1 -0.3 4.6 -1.7 5.2 16.4
2009 -0.4 -3.3 2.7 -1 5.5 -2.8 2.9 -0.2 -2.8 -1.5 1.5 1.9 2.1
2010 4.2 2 2 0.7 0.6 -1 -0.5 -0.3 1.8 0.9 0.9 0.8 12.5
2011 0.8 -0.7 0.1 0.6 -1.1 1.1 -0.5 -0.6 -1.2 -2 1 -0.3 -2.7
2012 1.6 0.1 2.6 0.7 -1.1 1 1.2 -1.4 0.5 1.1 0 0.6 7.2
2013 0.2 0.9 -1 -0.4 -1.2 -0.2 0.5 -0.2 0.8 0.1 0.6 0.1 0.2
2014 -0.3 0.3 0.1 -0.1 0.4 -0.4 -0.6 0.3 -0.9 1 -0.7 -0.3 -1.2
2015 -0.7 -0.5 -0.6 0.7 1 0.7 0.7 -2.1 0.2 0.2 0.4 -0.5 -0.4
2016 0 2.2 -0.4 -0.3 0.2 -0.5 0 -0.3 0.3 -0.7 -0.3 -0.5 -0.4
2017 0.2 1.1 0.2 0.2 0.7 -0.9 -0.1 0.3 0.7 0 0.3 -0.3 2.3
2018 -0.2 -2.3 1.2 -0.4 0.8 0 1.2 0.9 0.3 -0.8 3.5 4.4 8.9
2019 0.5 0.1 0.4 -0.4 -3.8 2 0.9 2.8 -0.6 0.9 -0.6 0.2 2.3
2020 0.9 -10.8 -5.9 -3.6 2.8 -0.2 -0.6 -0.4 0.4 -1 1.2 0.5 -16.1
2021 1.2 1.8 0.1 NA NA NA NA NA NA NA NA NA 3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  18.4 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  18.1 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  18   SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  18   SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  18   SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  17.8 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart